上证地产股指节日效应实证分析  

An Empirical Study of the Holiday Effects on the Real Estate Stock Index in SSE

作　　者：陈青[1] 夏佑涛[1] 

机构地区：[1]西南财经大学统计学院,四川成都611130

出　　处：《重庆工商大学学报（西部论坛）》2009年第3期103-105,共3页Journal of Chongqing Technology and Business University:West Forum

摘　　要：采用虚拟变量回归方法对上证地产股市这一个别板块的节日效应进行检验,结果表明地产股指不具有普遍的节日效应,除春节前效应显著外,其他节日效应均不明显;利用Levene检验对地产股指收益率的方差进行分析,结果表明各个节日之间的风险差异较小。Firstly ,this paper analyzes the holiday effects on the real estate stock market by using dummy variable regression approach, and finds that the real estate stock index does not have universal holiday effects, with the exception of Chinese New Year effect, other holiday effects are not obvious; then by utilizing Levene test to examine the variance of the yields of the real estate stock index, and finds that the risks of the various holidays are very small.

关 键 词：地产股指 节日效应 虚拟变量回归 Levene检验 

分 类 号：F832.51[经济管理—金融学] F224